The SBSH Mobile Software's PocketWeather looks very promising, and it's free to download. So try it out on your iPhone or iPod touch. It's a worldwide app and covers overseas weather as well. Here is more info on PocketWeather:

Get worldwide weather reports directly to your iPhone/iPod Touch anytime! PocketWeather is the most powerful weather tracking solution for iPhone/iPod Touch, featuring a robust weather engine wrapped with a stylish, simple to use user interface.